Linear and Nonlinear Filtering for Scientists and Engineers

Introduction to stochastic processes stochastic differential equations Kalman filtering for linear systems driven by Weiner process I Kalman filtering for linear systems driven by Weiner process II discrete Kalman filtering linear filtering with correlated noise I linear filtering with correlated noise II linear filtering with correlated noise III linear filtering of jump processes linear filtering with constraints filtering for linear systems driven by second order random processes extended Kalman filtering I,II, and III nonlinear filtering numerical techniques for nonlinear filtering partially observed control system identification.